Econometrics: one step ahead forecast - page 97
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Specifically, Oleg? What is new in comparison to the topic-starter reported Demi?
What's faa got to do with... It's not about that...
Any series can be subjected to any transformation by various methods and techniques, including statistical methods. One only has to be aware that any method has its limitations.
Demi:
3. These series may not be transformed or violated but they will remain non-stationary and non-ergodic.
I'm kind of uncomfortable, I have to answer:
1. econometrics is a way of applying statistical methods to economic forecasting. There are no "proprietary" or "original" methods.
2. the series under study are non-ergodic and non-stationary and for this kind of series the overwhelming majority of mathematical statistics methods are unacceptable.
3. these series may be transformed and violated but they will remain nonstationary and nonergodic.
4. you can separate a child component from noise and then make another component from noise and noisier noise and transform the noise and then molest it, get it drunk, cut off its arms and legs and burn it - still the series remains nonstationary and non-ergodic.
Conclusion: if a series is nonstationary and non-ergodic, its statistical characteristics and regularities may be obtained at any segment of the series, which will change entirely and unexpectedly in a short period of time, thus completely cancelling the prognostic characteristics of the found regularities.
Note: there is absolutely nothing new in what I have written. All this can be read in a more complete and less sloppy form in numerous textbooks and monographs.
yeah, that sounds like a verdict.
Only it sounds like one.
And the verdict (imho) is on the previous page.
And the verdict (imho) is on the previous page.
Where?
Down there, Alexei laid out
Statistics can also be applied to these economic rows, just wisely.
All I said was that you suggest doing the same thing as the topicstarter. But even faa has admitted that this is not enough.
It makes no difference whether we call them adaptive or something else. In any case, statistics should be the basis. Statistical methods, by the way, do not have to be classical. It can also be something new - say, a Bayesian approach.
Adaptive methods as they are understood in TAU (rather than being called) -- very strong methods. Next to them, statistics are a puff of smoke.
All kinds of mothers are needed, all kinds of mothers are important.
Not enough for the stated model, which is primitive, poorly justified and does not use even a hundredth of econometrics.
So create an adequate model, use econometric techniques, and harness the power of econometrics!!! what's stopping you?!
The only question is, where is the power of econometrics?
So create an adequate model, use econometric techniques, and harness the power of econometrics!!! what's stopping you?!
The only question is, where is the power of econometrics...
Oleg, the model is adequate, the author - too. Simply, you have different goals, ambitions and mass-size characteristics :)